Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0817
Annualized Std Dev 0.1957
Annualized Sharpe (Rf=0%) 0.4173

Row

Daily Return Statistics

Close
Observations 3481.0000
NAs 1.0000
Minimum -0.1094
Quartile 1 -0.0041
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0058
Maximum 0.1014
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0123
Skewness -0.5980
Kurtosis 12.1897

Downside Risk

Close
Semi Deviation 0.0091
Gain Deviation 0.0086
Loss Deviation 0.0105
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0090
Downside Deviation (0%) 0.0090
Maximum Drawdown 0.5005
Historical VaR (95%) -0.0183
Historical ES (95%) -0.0308
Modified VaR (95%) -0.0189
Modified ES (95%) -0.0387
From Trough To Depth Length To Trough Recovery
2007-10-15 2009-03-09 2013-01-29 -0.5005 1308 352 956
2020-02-13 2020-03-23 2020-11-09 -0.3483 188 27 161
2018-09-24 2018-12-24 2019-04-30 -0.1909 148 62 86
2015-05-22 2016-02-11 2016-07-14 -0.1748 252 161 91
2018-01-29 2018-04-02 2018-08-29 -0.1041 147 44 103

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA -0.4 -0.4
2007 0.7 -0.2 -0.2 -0.3 0.2 -0.4 -1.6 1.1 1.1 -2.2 -0.3 -0.6 -2.7
2008 1.1 -2.5 2.7 1.9 0.4 0.1 -0.7 -1.1 -1.3 2.7 -7.9 1.2 -3.9
2009 -2.1 -2 1.5 0.3 3.3 0.7 -0.6 -1.3 -2.2 -1.9 1.2 -0.9 -4.2
2010 1.3 1.1 0.8 -1.7 -0.5 -0.1 0.2 3 0.5 0 1.8 0 6.5
2011 1.5 -1 0.3 0.3 -1.2 1.4 -0.4 0.2 -0.4 -3.4 0.7 -0.8 -2.7
2012 1.6 -0.2 0.2 1.1 -2.1 2.1 0.1 0.6 0.4 0.9 0.9 -0.5 5.2
2013 0.8 -0.1 -0.1 -0.2 -1 -0.1 1.3 -0.6 0.8 0.1 0.3 0.4 1.4
2014 -1.1 0.6 0.1 -0.1 0.6 0.6 -0.2 0.2 -1.1 0.9 -0.2 -0.3 -0.2
2015 -1 -0.3 -1.1 1.1 -0.3 0.5 0.2 -2.8 0.6 0.1 0.3 -0.9 -3.5
2016 0.5 1.7 0.4 -0.8 0.4 1.7 0 -0.3 0.3 0.4 -0.6 -0.6 3
2017 0.2 1.3 -0.1 0.2 0.8 0.2 0.2 0.4 0.3 0.2 -0.5 0 3.1
2018 0 -1.9 1.7 -1.3 0.7 1.1 -0.8 -0.4 0.5 2 0.2 0.7 2.4
2019 0.1 0.5 1.1 -0.9 -1.3 0.8 -1.1 0.2 -1.4 1.2 -0.4 0.2 -1.1
2020 -1.7 -1.9 -4.5 -3.1 0.6 0.1 -0.3 0 0 -1 1 0.7 -9.9
2021 0.5 1.7 -0.2 NA NA NA NA NA NA NA NA NA 2.1

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart